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WALWestern Alliance Bancorporation

Options Analysis Report•STATE COMMERCIAL BANKS
Market Cap $8.6B|NYSE
● 2026-08-31$78.53
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y -11.7%YTD -8.1%7D +0.2%
367
30D
±8.3%
0%

WAL Options Overview

Mixed signals. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

5.0VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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WAL Gamma Walls

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Value

Is IV priced right?

5.7
ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 54.1% — elevated vs history

<1.05x

IV/HV 1.58x — IV premium over HV

Sector Relative≤50%

Sector percentile 73% — above sector median

<1.1x

Front/Back 0.88x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 34.3% — normal range

<80%

Effective IV 57.1% (ATM 34.3% + spread 11.4% + bias) — good value

<3.0%

Total drag 15.81% (spread 11.40% + slippage 4.41%) — high friction

≥5.0

Vega efficiency 6.36 (vega 7.249 / spread 11.40%) — acceptable

Sentiment

Bullish or bearish?

5.1
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksBullish - Moderate signal (Conviction: +29%, Raw: +28%)
|net sentiment| ≥25%

Conviction-weighted: +29% (bullish) — Raw: +28%

≥15%

|OI skew| 9.9% — balanced

Same sign, |vol skew| ≥10%

Vol skew -7.4%, OI skew -9.9% — weak (same direction)

≥2/3 conditions

0-DTE 0%, far-OTM 15%, avg DTE 30

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +0%, ATM: +52%, OTM: +24% — bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 89% — very bearish vs sector

Activity

Unusual activity?

3.4
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed
≥1.5x

Volume 0.5x avg — normal

≥15%

Vol/OI 1.8% — normal turnover

≥2 days

1 day(s) elevated — may be one-day event

≥5%

OI change +43.4% (5d) — building

Sector Relative≥60%

Sector activity percentile 44% — neutral vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 37% — patient

≥30

Conviction +29 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.3
IlliquidLiquid

Evaluates

, volume depth, and open interest for trade execution quality.

Risk Checks2/8 checks passed
≤5.0%

Spread 11.4% — wide

≥10,000

OI 20,288 — adequate

≥500

Volume 367/day — thin

≤$0.50

$0.57 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 80% — wider than sector

≥100 contracts

Depth 126.9 contracts (bid:86.2 ask:40.7) — adequate

<1.0%

Avg slippage 4.41% — poor

Timing

Is now a good time?

7.5
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed
|slope| ≥5%

Slope -12.3% — contango

<30 or >70

IV percentile 54% — neutral

≥10pts kink

IV kink -3.4pts — no clear event

<0.5 or >2.0

θ/ν ratio 122.65 — favors income trades

≥3 expirations

4 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow +29% @ 64% consistency — moderate (bullish)

≥40 composite score

Score 30 (ITM 20% + inst 0%) — retail dominated

Directional Strategy Fit

Option Buyers
Long Calls5.4
bullishIV fair, mixed flow
Long Puts5.3
bearishIV fair, mixed flow
Premium Sellers
Cash-Secured Put4.9
bullishIV fair, mixed flow
Covered Call4.8
bearishIV fair, mixed flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Aug 31, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

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